Conditional marginal expected shortfall (Q826003)
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scientific article; zbMATH DE number 7449514
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Conditional marginal expected shortfall |
scientific article; zbMATH DE number 7449514 |
Statements
Conditional marginal expected shortfall (English)
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18 December 2021
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marginal expected shortfall
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empirical process
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Pareto-type distribution
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tail dependence
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0.8578191995620728
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0.8575406670570374
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0.8343672156333923
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0.8341077566146851
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0.8334404826164246
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